The forecast quality of CBOE implied volatility indexes

We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since 1995. Implied volatilities for the Nasdaq 100 (VXN) appear to provide even higher quality forecasts of future volatility. We further find that attenuation biases induced by the econometric problem of errors in variables appear to have largely disappeared from CBOE volatility index data since 1995.

Transnational higher education : a stock take of current activity

Transnational higher education (TNHE) development is not an entirely new international activity in the education services sector. The nature and scale of the global expansion of contemporary TNHE developments are, however, changing substantially. An understanding of this growth is currently largely lacking because of a dearth of comprehensive statistics. The scale of the latter TNHE developments has been particularly hard to identify and has until now been largely based on guesstimates. This article is an attempt at filling this gap. Through a triangulation methodology of available secondary data, this article is a very first attempt at providing a stock take of the current level of activity in TNHE worldwide.

The role of the surveying profession in reducing carbon emissions of existing office stock in the Melbourne CBD

As professionals, surveyors and property professionals are in the front line and have a moral and ethical duty to take a lead when advising clients appropriately on measures to reduce greenhouse gas emissions from their buildings. As such, surveying professionals and the profession must increase their knowledge base and enhance their skills in respect of built environment sustainability. This research conducted a detailed analysis of energy efficiency in the Melbourne CBD office stock and examined all office buildings to identify what was likely to happen between 2005 and 2020 in respect of carbon emissions. The research profiled a business-as-usual or no change approach, a minor change approach, an intermediate approach, and a major change approach. The study examined variables such as building size, number of employees, occupancy levels, visual appearance and age. After modelling all CBD office buildings, it was recommended that an intermediate change scenario should be adopted. This course of action incorporates a transition period and includes increasing ‘green power’, increasing the number of employees per buildings, as well as reducing electricity and gas consumption. It was concluded that the surveying profession should adopt a proactive stance towards office buildings and climate change, which is currently being stifled by barriers such as a lack of education and perception concerning the long-term benefits of energy efficient office buildings. To date there has been much debate and promotion of policies to encourage the uptake of sustainability practices within the property sector; however, this research concludes that action is needed if targets are to be met.

The oil stock fluctuations in the United States

The goal of this paper is to examine whether the volatility of the growth in the US oil stocks has changed overtime, and if it has then whether or not this change is real. We find that the growth in volatility of oil stocks has declined overtime. We conduct a Monte Carlo simulation exercise to investigate whether this decline is real or an artefact of the growth definition. Our findings support the fact that the decline in growth volatility of oil stocks is an artefact of the growth definition. This is because a data generating process having a unit root with drift has a tendency to grow and thereby pulls the variance of growth down with time.

The impact of ownership structure on corporate debt policy : two stage least square simultaneous model approach for post crisis period : evidence from Kuala Lumpur Stock Exchange

Ownership concentration as a governance mechanism has received considerable attention among academician, practitioners as well as policy makers because large-block shareholders are increasingly active in their demands that corporations adopt effective governance mechanisms to control managerial decisions, which include corporate debt policy. Earlier study on the agency model of the firm widely recognizes that the managerial ownership and external debt play an important role in mitigating agency conflicts and enhancing firm value. They also found that increase in the external monitors, for example the institutional investors, can actually play a useful role in limiting agency problems in the firm. This paper, using 100 Composite Index companies from Brusa Malaysia between 1998 to 2002 explores the impact of institutional holdings on managerial ownership and debt policy in an integrated framework by using a simultaneous equations estimation procedure (2SLS). The findings show that there is a significant impact of institutional ownership which serves effective control mechanism on managerial ownership and corporate debt policy as hypothesized. Findings of such evidence suggest that institutional holding thus have played an important role in managers' strategic management decision and reduce agency conflict. In addition, corporate debt policy too is governed by managerial ownership and exhibited a negative relation.

On the relationship between stock prices and exchange rates for India

In this paper, we apply several variants of the EGARCH model to examine the role of depreciation of the Indian rupee on India's stock market returns using daily data. Our findings suggest that volatility persistence has been high; depreciation of the rupee has increased volatility; and asymmetric volatility confirms that negative shocks generate more volatility than positive shocks. We also find that an appreciation of the Indian rupee over the 2002 to 2006 has generated more returns and less volatility.

Stock market efficiency withstands another challenge : solving the “sell in May/buy after Halloween” puzzle

Examining the years 1970 to 1998, Bouman and Jacobsen (2002) document unusually high monthly returns during the November-April periods for both United States (U.S.) and foreign stock markets and label this phenomenon the Halloween effect. Their research suggests that the Halloween effect represents an exploitable anomaly and has negative implications for claims of stock market efficiency.

Re-examining Bouman and Jacobsen’s empirical results for the U.S. reveals that their results are driven by two outliers, the “Crash” of October 1987 and the collapse of the hedge fund Long-Term Capital Management in August 1998. After inserting a dummy variable to account for the impact of the two identified outliers, the Halloween effect becomes statistically insignificant. This anomaly is not economically exploitable for U.S. equity markets. We extend the research to the S&P 500 futures contract and find no evidence of an exploitable Halloween effect over the period April 1982-April 2003.

The temporal price relationship between the stock index futures and the underlying stock index : evidence from Malaysia

The stock index futures was introduced in Malaysia in December 1995 with the launching of the futures contract on the Kuala Lumpur Stock Exchange Composite Index. Due to its recentness in the country, many issues pertaining to this equity derivatives instrument have not been explored. Thus, the development of stock index futures opens many opportunities for research in this area. This study examines the temporal relationship between the price of the Kuala Lumpur Stock Exchange Composite Index futures contract (FKLI) and its underlying stock index, the Kuala Lumpur Stock Exchange Composite Index (KLSE CI). The five-year period under study is split into three subperiods to observe the price co-movement pattern under different volatility levels. The study finds that futures market tends to lead the spot market by one day during the periods of stable market, and there is a mixed lead-lag relationship between the two markets during the period of highly volatile market.

Sources of liquidity commonality, asymmetric information and ownership structure in emerging markets : evidence from the Chinese stock market

Xinwei Zheng examines if common factors of liquidity can be determined by ownership structure measured by asymmetric information in an emerging market that has adopted an order-driven trading system. Using China as a case for the study, I select a broad sample of stocks from two separate Chinese stock exchanges to measure and
analyse the relationship. My empirical evidence seems significant and pervasive. These findings about the Chinese stock market provide useful pointers for understanding commonality in emerging economies and shed critical light
on a new dimension of the working of emerging markets.

Are the Australian and New Zealand stock prices nonlinear with a unit root?

Whether or not stock prices are characterized by a unit root has important implications for policy. For instance, by applying unit root tests one can deduce whether stock returns can be predicted from previous changes in prices. A finding of a unit root implies that stock returns cannot be predicted. This paper investigates whether or not stock prices for Australia and New Zealand can be characterized by a unit root process. An unrestricted two-regime threshold autoregressive model is used with an autoregressive unit root. Among the main results, it is found that the stock prices of both countries are nonlinear processes that are characterized by a unit root process, consistent with the efficient market hypothesis.